Hai, Vu Thanh; Tsuia, Albert K.; Zhang, Zhaoyong - East Asian Bureau of Economic Research (EABER) - 2009
We search for evidence of conditional volatility in the quarterly real GDP growth rates of three East Asian tigers : Singapore, Hong Kong and Taiwan. The widely accepted exponential GARCH-type model is used to capture the existence of asymmetric volatility and the potential structural break...